Problem with rigid body joint
Rigid body joints constraints intented use is for situations like:


Animation created from the blend file linked in the docs

Note the collision bounds are set to box and the joint itself doesn't have a collision bound.

Comparing your file you have collision bound set to capsule which should be mesh:



Setting it to triangle mesh would at least avoid that it is blown away when you switch on the physics.



In case you only want to parent both objects you wouldn't need the constraints: 

First select the child object then the parent Ctrl-P will open this popup.

 

To have the influence of parenting animated you could consider to use a ChildOf constrained.